Title Author Year
Portfolio optimization via strategy-specific eigenvector shrinkage Lisa Goldberg; Hubeyb Gurdogan; Alec Kercheval 2024
Ownership of ESG Characteristics Mark Bateman; Lisa Goldberg 2023
A Resampling Approach for Causal Inference on Novel Two-Point Time-Series with Application to Identify Risk Factors for Type-2 Diabetes and Cardiovascular Disease Xiaowu Dai; Saad Mouti; Marjorie Lima Do Vale; Sumantra Ray; Jeffrey Bohn; Lisa Goldberg 2023
James-Stein for the Leading Eigenvector Lisa Goldberg; Alec Kercheval 2023
Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting? Lisa Goldberg; Ananth Madhavan; Harrison Selwitz; Alex Shkolnik 2022
Sustainable investing and the cross-section of returns and maximum drawdown Lisa Goldberg; Saad Mouti 2022
2022-01: CENTRAL BANK DIGITAL CURRENCIES (CBDCs) The coming of national e-currencies Jeffrey Bohn; Gilles Papadopoulos; Jurg Unger 2022
Multiple Anchor Point Shrinkage for the Sample Covariance Matrix Hubeyb Gurdogan; Alec Kercheval 2022
On Existence Of Berk-Nash Equilibria In Misspecified Markov Decision Processes With Infinite Spaces Robert Anderson; Haosui Duanmu; Aniruddha Ghosh; M. Ali Khan 2022
Sustainable Investing From a Practitioner's Viewpoint: What's in Your ESG Porfolio? Jeffrey Bohn; Lisa Goldberg; Simge Ulucam 2022
The Dispersion Bias Lisa Goldberg; Alex Papanicolaou; Alex Shkolnik 2022
James-Stein estimation of the first principal component Alex Shkolnik 2021
Collateralized Networks Samim Ghamami; Paul Glasserman; Peyton Young 2021
Tax-Rate Arbitrage: Realization of Long-Term Gains to Enable Short-Term Loss Harvesting Lisa Goldberg; Taotao Cai; Pete Hand 2021
The Implied Futures Financing Rate Nick Gunther; Robert Anderson; Lisa Goldberg; Alex Papanicolaou 2021
Submodular Risk Allocation Samim Ghamami; Paul Glasserman 2019
Deep Learning for Mortgage Risk Justin Sirignano; Apaar Sadhwani; Kay Giesecke 2018
Do the Golden State Warriors Have Hot Hands? Lisa Goldberg 2017
Derivatives Pricing under Bilateral Counterparty Risk Peter Carr; Samim Ghamami 2017
Does OTC Derivatives Reform Incentivize Central Clearing? Samim Ghamami; Paul Glasserman 2017
Do Steph Curry and Klay Thompson Have Hot Hands? Alon Daks; Nishant Desai; Lisa Goldberg 2017
The Implied Futures Financing Rate Nick Gunther; Robert Anderson; Lisa Goldberg 2017
The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk Stephen Bianchi; Lisa Goldberg; Allan Rosenberg 2017
Controlling shareholders' value, long-run firm value and short-term performance Hyung Cheol Kang; Robert Anderson; Kyong Shik Eom; Sang Koo Kang 2017